This episode begins a complete re-write of the wormhole aliens. If you watch the pilot episode, you will see that the wormhole aliens actually had no idea that the Bajorans existed. Indeed, they regarded corporeal species as "aggressive, adversarial", and in fact didn't even know that any being could exist in linear time. The Orbs were probes the aliens had sent out to seek others like themselves, and the Bajoran's religion was wholly based on a misunderstanding.

Beginning here, the wormhole aliens start to declare that they actually support this whole "Emissary" business the Bajorans have thrust on Sisko. They even declare that they are "of Bajor", and so is Sisko. The former could mean that the aliens are actually distant descendants of the Bajoran people. Ultimately we will find that the latter is because Sisko's mother was actually a wormhole alien. So I guess the aliens were just flat out lying about pretty much everything they said in the pilot episode, then.

Plotline

A Bajoran lost 200 years ago emerges from the wormhole claiming to be the true Emissary of the Prophets. At first delighted, Sisko soon finds himself worried at the commandments the new Emissary is making, and becomes determined to get his old job back.